Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation
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DOI: 10.1002/fut.21998
Abstract: This paper examines the relationship between limit order submissions and liquidity. We find that there is a negative relationship between the limit order arrival rate and the depth at the best quotes (limit order queue… read more here.
Keywords: execution; order; limit order; relationship ... See more keywords
A Level-1 Limit Order Book with Time Dependent Arrival Rates
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DOI: 10.1007/s11009-019-09715-7
Abstract: We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (SIAM J Financial Math 4(1), 1–25 2013), where the price dynamics are… read more here.
Keywords: limit order; order book; level limit;
Informed liquidity provision in a limit order market
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DOI: 10.1016/j.finmar.2020.100566
Abstract: Abstract We develop a tractable model of a limit order market where informed and liquidity investors compete with a professional liquidity provider who has a monitoring advantage. We apply our model to study the impact… read more here.
Keywords: limit order; order; informed liquidity; order market ... See more keywords
Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
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DOI: 10.1080/14697688.2019.1622290
Abstract: We develop a dynamic model to simultaneously characterize the liquidity demand and supply in a limit order book. The joint dynamics are modeled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form… read more here.
Keywords: limit order; liquidity; order; order book ... See more keywords
State-dependent Hawkes processes and their application to limit order book modelling
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DOI: 10.1080/14697688.2021.1983199
Abstract: We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation… read more here.
Keywords: order; dependent hawkes; state dependent; state ... See more keywords
Limit order books: a systematic review of literature
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DOI: 10.1108/qrfm-07-2019-0080
Abstract: This study aims to provide a systematic literature review of the research study in the area of limit order book (LOB) mechanism of trading and its implications for market efficiency. The study attempts to document… read more here.
Keywords: limit order; literature; order; research ... See more keywords
Online Learning in Limit Order Book Trade Execution
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DOI: 10.1109/tsp.2018.2858188
Abstract: In this paper, we propose an online learning algorithm for optimal execution in the limit order book of a financial asset. Given a certain number of shares to sell and an allocated time window to… read more here.
Keywords: limit order; execution; order book; online learning ... See more keywords